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Author
Kołodziejczyk Hanna (Poznań University of Economics and Business)
Title
Identifying Structural Changes and Associations in Exchange Rates with Markov Switching Models : the Evidence from Central European Currency Markets
Source
Bank i Kredyt, 2020, nr 1, s. 69-90, aneks, bibliogr. 36 poz.
Bank & Credit
Keyword
Kurs walutowy, Zmiany strukturalne, Modele Markowa, Model przełącznikowy
Exchange rates, Structural changes, Markov models, Switching model
Note
JEL Classification: C58, G17, F31
summ.
Country
Europa Środkowa
Central Europe
Abstract
Exchange rates can experience structural changes, switching between periods of high and low volatility, which is particularly true with regard to developing countries' currencies. In this paper we model exchange rate daily returns of three Central European currencies against the euro with Hamilton's regime switching model. The goal is to identify periods of high and low volatility, compare the estimates of volatility obtained from the model and the persistence of those volatility regimes between countries and to check whether associations exist between exchange rates with regard to periods of high and low volatility. The results suggest that regime switches in volatility did occur during the 2014-2018 period. The EURCZK exchange rate experienced the lowest volatility, while EURHUF stayed within regimes the longest. The periods of high and low volatility are not independent between countries, with the strongest similarities detected between the EURHUF and EURPLN exchange rates. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
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ISSN
0137-5520
Language
eng
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